One-Step Multi-Derivative Methods for Backward Stochastic Differential Equations

Abstract

This paper deals with numerical solutions of backward stochastic differential equations (BSDEs). For solving BSDEs, a class of third-order one-step multi-derivative methods are derived. Several numerical examples are presented to illustrate the computational effectiveness and high-order accuracy of the methods. To show the advantage of the methods, a comparison with $\theta$-methods is also given.